trend-breakouthigh risk
Channel Breakout Strategy on Hyperliquid
Does a channel breakout strategy work on Hyperliquid perps? Backtested on real Hyperliquid perps from 2024-08-15 to 2026-09-29, the default settings earned a Sharpe of 0.96 — +127.0% total return with a 40.4% worst drawdown across 4,034 trades in 1,502 positions, net of fees, slippage, and funding.
By Keel Research · Data as of 2026-09-29 · how this backtest was produced
Sharpe
0.96
default settings
Total return
+127.0%
Worst drawdown
−40.4%
Trades
4,034
2024-08-15 → 2026-09-29 · net of fees, slippage, and funding · price-only Sharpe 1.04 · these are the default settings, not a hand-picked best case.
At $1,000, this strategy’s worst historical dip was about $404. Free account, your own Hyperliquid keys — Keel only trades.
How it works
How it works
Crypto trends tend to persist: once price pushes beyond its recent volatility range, it more often keeps going than snaps back. The strategy measures each coin's position relative to a 20-day channel built around its average price and volatility, then holds it long or short in proportion to how far — and in which direction — price sits outside that channel. It runs daily across the top-20 Hyperliquid perpetuals, risk-normalized to 1x gross, and rebalances only when a position drifts 20% off target. This is a continuous take on the classic channel breakout: position size scales smoothly with the breakout rather than flipping fully in or out.
When it works best
It profits when strong directional moves extend — coins breaking out and running, in either direction. A 20-day lookback is the sweet spot: it beats both a faster 10-day channel, which reads more false breaks, and a slower 40-day one, which enters late.
When it struggles
Range-bound, mean-reverting markets are the enemy — false breakouts reverse and each one costs. Turnover is high at 4,034 trades over the window, and with no volatility targeting the strategy drew down 40.4% at its worst. It sits firmly in the high-risk band.
How it’s built
The exact strategy behind this backtest — no black box. Switch to code to see or copy the full definition.
Configuration
Globalsconfig
target_timeframe1dbar_offset12h
UniverseassetsTop by Volume · HL Perps · 20 assets20 resolved
Executiontrading
rebalanceBufferedbuffer_threshold0.2buffer_moderelative+1
Pipeline5 steps
PriceDataLoaderData Loader
KeltnerChannelIndicator
period20multiplier2
ForecastScalerForecast Mapper
avg_abs_target10
ForecastCapperForecast Mapper
limit20
ForecastWeightNormalizerPosition Sizer
target_leverage1
Globals(target_timeframe="1d", bar_offset="12h")Universe(mode="top_volume", top_n=20, market="perp", resolved=["BNB", "BTC", "DOGE", "ETH", "FARTCOIN", "GRAM", "HYPE", "LINK", "LIT", "NEAR", "PUMP", "SOL", "SUI", "VVV", "WLD", "XPL", "XRP", "ZEC", "kBONK", "kPEPE"], resolved_at="2026-07-06T19:00:45.642306+00:00")Execution( rebalance="buffered", buffer_threshold=0.2, buffer_mode="relative", rebalance_method="to_edge",)Pipeline([ PriceDataLoader(), KeltnerChannel(period=20, multiplier=2.0), ForecastScaler(avg_abs_target=10.0), ForecastCapper(limit=20.0), ForecastWeightNormalizer(target_leverage=1.0),], name="breakout_donchian_hyperliquid")Explore the settings
precomputed · updates instantlyAdjust a setting to see the exact backtested result — including the ones that lost money.
Complete 18-cell public cross-product on explicit resolved universes.
Channel lookback
Pinned universe
Rebalance buffer
Sharpe
0.96
Return
127.0%
Worst DD
−40.4%
Trades
4,034
At $1,000, these settings' worst historical dip was about $404. You land in the editor with this exact setup. Free account, your own keys.
Compare all 18 settings
| Settings | Sharpe | Return | Worst DD | Trades |
|---|---|---|---|---|
| Channel 10 · Pinned top10_launch · Rebalance 0.1 | 0.29 | -3.0% | −55.6% | 2,837 |
| Channel 10 · Pinned top10_launch · Rebalance 0.2 | 0.30 | 1.5% | −52.0% | 2,356 |
| Channel 10 · Pinned top10_launch · Rebalance 0.3 | 0.38 | 13.7% | −47.1% | 2,050 |
| Channel 10 · Pinned top20_launch · Rebalance 0.1 | 0.56 | 40.3% | −47.4% | 5,897 |
| Channel 10 · Pinned top20_launch · Rebalance 0.2 | 0.59 | 44.9% | −42.2% | 4,976 |
| Channel 10 · Pinned top20_launch · Rebalance 0.3 | 0.62 | 48.7% | −37.3% | 4,306 |
| Channel 20 · Pinned top10_launch · Rebalance 0.1 | 0.66 | 60.0% | −46.7% | 2,426 |
| Channel 20 · Pinned top10_launch · Rebalance 0.2 | 0.79 | 87.5% | −42.7% | 1,914 |
| Channel 20 · Pinned top10_launch · Rebalance 0.3 | 0.85 | 94.9% | −39.5% | 1,585 |
| Channel 20 · Pinned top20_launch · Rebalance 0.1 | 0.91 | 117.5% | −43.2% | 5,053 |
| Channel 20 · Pinned top20_launch · Rebalance 0.2default | 0.96 | 127.0% | −40.4% | 4,034 |
| Channel 20 · Pinned top20_launch · Rebalance 0.3 | 1.01 | 129.4% | −37.5% | 3,355 |
| Channel 40 · Pinned top10_launch · Rebalance 0.1 | 0.63 | 52.6% | −51.4% | 1,971 |
| Channel 40 · Pinned top10_launch · Rebalance 0.2 | 0.71 | 68.3% | −46.8% | 1,519 |
| Channel 40 · Pinned top10_launch · Rebalance 0.3 | 0.71 | 64.6% | −42.3% | 1,210 |
| Channel 40 · Pinned top20_launch · Rebalance 0.1 | 0.86 | 102.7% | −49.1% | 4,234 |
| Channel 40 · Pinned top20_launch · Rebalance 0.2 | 0.89 | 105.3% | −46.3% | 3,205 |
| Channel 40 · Pinned top20_launch · Rebalance 0.3 | 0.94 | 110.5% | −42.5% | 2,605 |
The data
Monthly returns
| Month | Return |
|---|---|
| 2024-08 | 0.0% |
| 2024-09 | +7.5% |
| 2024-10 | -11.0% |
| 2024-11 | +55.1% |
| 2024-12 | -3.7% |
| 2025-01 | -28.3% |
| 2025-02 | +44.9% |
| 2025-03 | -11.2% |
| 2025-04 | +13.9% |
| 2025-05 | +4.8% |
| 2025-06 | -15.7% |
| 2025-07 | +6.7% |
| 2025-08 | -14.6% |
| 2025-09 | +15.9% |
| 2025-10 | -0.5% |
| 2025-11 | +14.5% |
| 2025-12 | +0.8% |
| 2026-01 | +16.9% |
| 2026-02 | +19.2% |
| 2026-03 | -14.3% |
| 2026-04 | -9.9% |
| 2026-05 | +7.5% |
| 2026-06 | +1.1% |
| 2026-07 | -8.8% |
| 2026-08 | +14.5% |
| 2026-09 | +15.4% |
Which assets it traded
| Avg allocation | Days held | % of time held | Asset |
|---|---|---|---|
| 0.0151 | 755 | 97.42 | BNB |
| 0.0148 | 755 | 97.42 | BTC |
| -0.0096 | 755 | 97.42 | DOGE |
| 0.003 | 755 | 97.42 | ETH |
| 0.0022 | 755 | 97.42 | LINK |
| -0.0104 | 755 | 97.42 | NEAR |
| 0.0022 | 755 | 97.42 | SOL |
| -0.0009 | 755 | 97.42 | SUI |
| -0.023 | 755 | 97.42 | WLD |
| -0.0046 | 755 | 97.42 | XRP |
| -0.024 | 755 | 97.42 | kBONK |
| -0.0134 | 755 | 97.42 | kPEPE |
| 0.0162 | 643 | 82.97 | HYPE |
| -0.0077 | 628 | 81.03 | FARTCOIN |
| 0.0023 | 589 | 76 | VVV |
| -0.0018 | 426 | 54.97 | PUMP |
| -0.0208 | 383 | 49.42 | XPL |
| 0.0212 | 352 | 45.42 | ZEC |
| 0.0036 | 260 | 33.55 | LIT |
| -0.0307 | 69 | 8.9 | GRAM |
What this is: a historical backtest on real Hyperliquid market data, net of fees, slippage, and funding. Its worst historical drawdown was 40.4% — expect drawdowns of that order or worse. Past performance does not predict future results, and this is not investment advice. Size your account so a full drawdown is survivable.